Please advise the bus or train from the Baiyun airport to Shajing, ShenZhen.

Shajing Town covers a large area. Where do you refer to exactly? Anyway, you may take a coach to Shenzhen from Gate-A8 Arrival Lobby, and get off at the terminus: Bagualing. Next, change to bus line m401 from Bagualing to Zhangkeng Station. Afterwards, transfer to bus line m341 to your destination.

By train: you may take metro line 3 from the airport to Jiahewanggang Station, and change to line 2 to South Railway Station. Next, take a high speed train to Shenzhen North Railway Station. Upon arrival, take bus line m341 to your destination.